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monicaaaaa · 2025年05月28日

老师帮忙看下答案,谢谢

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NO.PZ201812020100001203

问题如下:

After selecting a portfolio to immunize Schuylkill’s multiple future outflows, Chaopraya prepares a report on how this immunization strategy would respond to various interest rate scenarios. The scenario analysis is presented in Exhibit 3.




Discuss the effectiveness of Chaopraya’s immunization strategy in terms of duration gaps.

选项:

解释:

Answer:

Chaopraya’s strategy immunizes well for parallel shifts, with little deviation between the outflow portfolio and the immunizing portfolio in market value and BPV. Because the money durations are closely matched, the differences between the outflow portfolio and the immunizing portfolio in market value are small and the duration gaps (as shown by the difference in Δ Portfolio BPVs) between the outflow portfolio and the immunizing portfolio are small for both the upward and downward parallel shifts.

Chaopraya’s strategy does not immunize well for the non-parallel steepening and flattening twists (i.e., structural risks) shown in Exhibit 3. In those cases, the outflow portfolio and the immunizing portfolio market values deviate substantially and the duration gaps between the outflow portfolio and the immunizing portfolio are large.

  1. In general, the interest rate parallel shift is the sufficient but not necessary condition of immunization. There will be structure risk if the yield curve is in non-parallel shift.
  2. According to the exhibit, the differences of market value, cash flow yield and BPV between portfolio and liabilities are small in the interest rate upward parallel shift and downward parallel shift. It shows that the immunization is effective in interest rate parallel shift scenarios. 
  3. However, as for the non-parallel shift scenarios, no matter steepening twist or flattening twist, the differences of market value, cash flow yield and BPV between portfolio and liabilities are larger, which indicates that the immunization isn't effective to close the duration gap in those scenarios.

老师帮忙看下,谢谢

1 个答案

发亮_品职助教 · 2025年05月28日

可以,答案写的很充分。可以拿满分。


我们知道,检验免疫是否成功,就是看利率改变时,资产与负债的market value是否同步,或者两者market value的变动差异是否小,即本题表格的market value difference是否小。在这道题里面,平行移动的都很小,所以免疫效果不错。

但是非平行移动的差异大,所以免疫效果较差。

所以答案以上的内容就可以拿到一大半分。


题干还额外要求,从duration gap的角度评级一下免疫效果(题干这句in terms of duration gaps),所以这道题还要说一下利率改变时,duration gap的变动是否同步,根据表格,平移时,duration gap difference比较小,说明免疫效果好;但是非平行移动时,duration gap difference比较大,免疫效果较差。回答到这点就拿到另外一部分分。


其实只要答到上面答案的第2点和第3点,就已经很充分了。cash flow yield这点可以不说。另外第1点也可以不说哈。

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